Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0270
Annualized Std Dev 0.2234
Annualized Sharpe (Rf=0%) 0.1210

Row

Daily Return Statistics

Close
Observations 3339.0000
NAs 1.0000
Minimum -0.1143
Quartile 1 -0.0054
Median 0.0008
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0067
Maximum 0.1400
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0141
Skewness -0.5098
Kurtosis 10.9436

Downside Risk

Close
Semi Deviation 0.0105
Gain Deviation 0.0096
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0104
Downside Deviation (0%) 0.0104
Maximum Drawdown 0.6265
Historical VaR (95%) -0.0211
Historical ES (95%) -0.0359
Modified VaR (95%) -0.0218
Modified ES (95%) -0.0433
From Trough To Depth Length To Trough Recovery
2007-12-14 2009-03-09 2014-01-10 -0.6265 1529 309 1220
2018-01-29 2020-03-23 2021-01-05 -0.4459 740 541 199
2015-05-18 2016-02-11 2017-03-17 -0.1906 463 187 276
2014-07-07 2014-10-16 2015-05-15 -0.1612 218 73 145
2014-01-16 2014-02-03 2014-02-18 -0.0618 22 12 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA NA 1.9 1.9
2008 0 -2.1 1.9 0.8 0.5 -2.6 -1.2 0.5 -1.3 1.9 -5.7 1.6 -5.9
2009 -0.7 0.8 2.9 1.8 1.8 1.1 2.2 -2.3 -2.8 -1.7 2.8 0 5.9
2010 1.2 0.6 2 -0.9 -1 1.3 -0.3 3.5 1.1 -0.1 2.6 0.8 11.3
2011 2.9 -0.8 0.2 0.2 -1.9 1 -0.7 -1.7 -2.3 -3.3 -2.1 0.1 -8.3
2012 1.7 0.7 1 -0.1 -3.5 3.3 0.1 1.2 0.3 0.9 0.1 1.3 7.1
2013 1.3 0.2 -2 -0.4 -1.5 1.1 1.2 -1.1 0.7 -0.7 0.3 0.1 -0.9
2014 -1.5 0.9 0.9 0.3 0.1 0.9 -0.7 -0.1 -1.3 1.9 0 -0.3 1.1
2015 -0.8 0.1 0.4 0.5 0.1 0.8 0.6 -2.9 0 0.2 1.1 -1.1 -1.2
2016 0.3 2.5 -0.7 0 0 0.5 -0.8 1.1 0.6 -0.1 -0.4 0.4 3.4
2017 0.7 0.8 -0.1 0.4 1 0.5 0.3 0.2 0.8 0.3 -0.3 0.1 4.8
2018 0.5 -1.5 1 -0.2 0.7 0.7 -0.3 -0.2 0.3 2 -0.2 0.5 3.5
2019 -0.2 0.9 1.4 -0.5 -0.8 0.7 -0.5 0.6 -0.7 1.1 -0.7 0.5 1.9
2020 -1.3 -0.7 -4.4 -2.1 2.2 0.5 -2 0.2 1 -0.2 2.6 -0.6 -4.8
2021 1.2 2 0.6 NA NA NA NA NA NA NA NA NA 3.8

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart